Uncheck "Deploy the Latest version of the .NET Compact Framework (including Service Packs)".

Build and deploy the project on your WinCE device.

Download and Install .NET Compact Framework directly to the FlashDisk of the device from here.

Go to My Device > Program Files > vcsharp_audio_playback_demo and run the application vcsharp_audio_playback_demo.exe.

Following GUI will open with different controls.

Note: vcsharp_audio_plyback_demo uses DirectShow.net library functions from DirectShowLib-2005.dll from a third party. Microsoft does not provide a managed API for DirectShow.
Documentation related to this library and its licence is given here.